Study The Relationship Of Stock Index Futures, Stock Index

April 16th,2010, China's first financial futures-the Shanghai and Shenzhen 300 stock index futures contracts officially listed. China's stock market has been trading in a one-way " u-nilateral market", in which investors who want to profit should only by first buy a stock and sell it after the share price rise. As a result, It has an important and far-reaching significance for the stock index futures being listed. Now the Shanghai and Shenzhen 300 Index futures contract has been listed for one year, not only to r achieve a " smooth start, the safe operation " targets, but al-so bring a more active trading market. The futures and spot mar-kets have a closer linkage, and the market price discovery func-tion is getting better, in other words, stock index futures has been successfully embedded in the capital market. But whether the stock index futures has a price-leading effect on the spot mar-ket, still need more proof and observation.This paper focus on the basis of qualitative analysis, with the introduction of time-series models. By choosing the Shanghai and Shenzhen 300 stock index futures day-closing point data, with the introduction of Garch model and Granger causality analysis to deal with the selected data. The conclusions are as follows, the introduction of the Shanghai and Shenzhen 300 stock index futures has not only decreased the volatility of the stock market, but also bring a faster flow of information; the price of stock index futures depends on the underlying market, stock index futures does not have a leading role against the spot market prices...